Andreou, E., Ghysels, E., Kourtellos, A., 2013. Should macroeconomic forecasters use daily financial data and how? Journal of Business & Economic Statistics 31 (2), 240â251.
- Azzalini, A., Capitanio, A., 2014. The Skew-Normal and Related Families. Institute of Mathematical Statistics Monographs. Cambridge (UK): Cambridge University Press.
Paper not yet in RePEc: Add citation now
Babii, A., Ghysels, E., Striaukas, J., 2022. Machine learning time series regressions with an application to nowcasting. Journal of Business & Economic Statistics 40 (3), 1094â1106.
Banbura, M., Giannone, D., Reichlin, L., 2010. Large Bayesian vector auto regressions. Journal of Applied Econometrics 25 (1), 71â92.
Belloni, A., Chernozhukov, V., Hansen, C., 2014. High-dimensional methods and inference on structural and treatment effects. Journal of Economic Perspectives 28 (2), 29â50.
- Bickel, P. J., Ritov, Y., Tsybakov, A. B., 2009. Simultaneous analysis of Lasso and Dantzig selector. Annals of Statistics 37 (4), 1705â1732.
Paper not yet in RePEc: Add citation now
Bitto, A., Fruhwirth-Schnatter, S., 2019. Achieving shrinkage in a time-varying parameter model framework. Journal of Econometrics 210 (1), 75â97.
- Cai, T. T., Zhang, A. R., Zhou, Y., 2022. Sparse Group Lasso: Optimal sample complexity, convergence rate, and statistical inference. IEEE Transactions on Information Theory 68 (9), 5975â6002.
Paper not yet in RePEc: Add citation now
Carriero, A., Clark, T. E., Marcellino, M., 2015. Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility. Journal of the Royal Statistical Society: Series A (Statistics in Society) 178 (4), 837â862.
Carriero, A., Clark, T. E., Marcellino, M., 2019. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Journal of Econometrics 212 (1), 137â154. Carriero, A., Clark, T. E., Marcellino, M., Mertens, E., in press. Addressing COVID-19 outliers in BVARs with stochastic volatility. The Review of Economics and Statistics.
- Castillo, I., Schmidt-Hieber, J., Van der Vaart, A., 2015. Bayesian linear regression with sparse priors. The Annals of Statistics 43 (5), 1986â2018.
Paper not yet in RePEc: Add citation now
- Chan, J. C. C., Hsiao, C., 2014. Estimation of stochastic volatility models with heavy tails and serial dependence. In: Jeliazkov, I., Yang, X.-S. (Eds.), Bayesian Inference in the Social Sciences. John Wiley & Sons, Hoboken, New Jersey, pp. 159â180.
Paper not yet in RePEc: Add citation now
- Chen, R.-B., Chu, C.-H., Yuan, S., Wu, Y. N., 2016. Bayesian sparse group selection. Journal of Computational and Graphical Statistics 25 (3), 665â683.
Paper not yet in RePEc: Add citation now
- Chib, S., 1995. Marginal likelihood from the Gibbs output. Journal of the American Statistical Association 90 (432), 1313â1321.
Paper not yet in RePEc: Add citation now
Chib, S., Jeliazkov, I., 2001. Marginal likelihood from the MetropolisâHastings output. Journal of the American Statistical Association 96 (453), 270â281.
Clark, T. E., 2011. Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility. Journal of Business & Economic Statistics 29 (3), 327â341.
Ferrara, L., Simoni, A., 2022. When are Google Data useful to nowcast GDP? an approach via preselection and shrinkage. Journal of Business & Economic Statistics 41 (4), 1188â 1202.
Foroni, C., Marcellino, M., Schumacher, C., 2015. Unrestricted mixed data sampling (MIDAS) : MIDAS regressions with unrestricted lag polynomials. Journal of the Royal Statistical Society: Series A (Statistics in Society) 178 (1), 57â82.
Geweke, J., Amisano, G., 2011. Optimal prediction pools. Journal of Econometrics 164 (1), 130â141.
Ghysels, E., Santa-Clara, P., Valkanov, R., 2006. Predicting volatility: getting the most out of return data sampled at different frequencies. Journal of Econometrics 131 (1-2), 59â95.
Ghysels, E., Sinko, A., Valkanov, R., 2007. MIDAS regressions: Further results and new directions. Econometric Reviews 26 (1), 53â90.
Giacomini, R., White, H., 2006. Tests of conditional predictive ability. Econometrica 74 (6), 1545â1578.
- Hoffmann, M., Rousseau, J., Schmidt-Hieber, J., 2015. On adaptive posterior concentration rates. The Annals of Statistics 43 (5), 2259 â 2295.
Paper not yet in RePEc: Add citation now
Lenza, M., Primiceri, G. E., 2022. How to estimate a vector autoregression after March 2020. Journal of Applied Econometrics 37 (4), 688â699.
- Li, Z., Zhang, Y., Yin, J., 2022. Minimax rates for high-dimensional double sparse structure over âu(âq)-balls. arXiv:2207.11888.
Paper not yet in RePEc: Add citation now
McCracken, M. W., Ng, S., 2016. FRED-MD: A monthly database for macroeconomic research. Journal of Business & Economic Statistics 34 (4), 574â589.
- Moench, E., Ng, S., Potter, S., 12 2013. Dynamic Hierarchical Factor Models. The Review of Economics and Statistics 95 (5), 1811â1817.
Paper not yet in RePEc: Add citation now
Mogliani, M., Simoni, A., 2021. Bayesian MIDAS penalized regressions: Estimation, selection, and prediction. Journal of Econometrics 222 (1, Part C), 833â860.
- Ning, B., Jeong, S., Ghosal, S., 2020. Bayesian linear regression for multivariate responses under group sparsity. Bernoulli 26 (3), 2353â2382.
Paper not yet in RePEc: Add citation now
- Raskutti, G., Wainwright, M. J., Yu, B., 2011. Minimax rates of estimation for highdimensional linear regression over âq-balls. IEEE Transactions on Information Theory 57 (10), 6976â6994.
Paper not yet in RePEc: Add citation now
Spiegelhalter, D. J., Best, N. G., Carlin, B. P., Van Der Linde, A., 2002. Bayesian measures of model complexity and fit. Journal of the Royal Statistical Society Series B: Statistical Methodology 64 (4), 583â639.
Stock, J. H., Watson, M. W., 2016. Core inflation and trend inflation. The Review of Economics and Statistics 98 (4), 770â784.
- Xu, X., Ghosh, M., 2015. Bayesian variable selection and estimation for Group Lasso. Bayesian Analysis 10 (4), 909â936.
Paper not yet in RePEc: Add citation now
Zhang, B., Chan, J. C. C., Cross, J. L., 2020. Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts. International Journal of Forecasting 36 (4), 1318â1328.